Ivolution Research Journal · Working paper

Gamma sign × EM pricing

The straddle expected move overprices realized range MORE in positive-gamma regimes — realized volatility is suppressed below what the market paid for — so positive-gamma sessions show a lower range-to-EM ratio and a higher expected-move band hit rate than negative-gamma sessions.

GEX-10 · v1·Proposed·Plausible — unproven·Dealer gamma

Cite as: GEX-10: Gamma sign × EM pricing. Ivolution Research Journal.

Publication status

The study is published as a working paper while a required data source remains unavailable. No result exists yet.

The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for GEX-10 are available to Terminal + AI members.

Symbols

SPX · SPY · QQQ

Regimes

Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day

Horizons

close

GEX-10: Gamma sign × EM pricing — Ivolution Research Journal